North American Journal of Economics and Finance最新文献_第9页

Regime-Switching volatility and risk quantification in South Asian and developed stock Markets: A Comparative perspective using Markov-Switching GARCH with MLE and MCMC estimations 南亚和发达国家股票市场的制度转换波动率和风险量化：使用马尔可夫转换GARCH与MLE和MCMC估计的比较视角

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-25 DOI: 10.1016/j.najef.2025.102576

Hina Mushtaq , Muhammad Ishtiaq , Surayya Jamal , Syed Maisam Raza Rizvi , Hamad Raza

{"title":"Regime-Switching volatility and risk quantification in South Asian and developed stock Markets: A Comparative perspective using Markov-Switching GARCH with MLE and MCMC estimations","authors":"Hina Mushtaq , Muhammad Ishtiaq , Surayya Jamal , Syed Maisam Raza Rizvi , Hamad Raza","doi":"10.1016/j.najef.2025.102576","DOIUrl":"10.1016/j.najef.2025.102576","url":null,"abstract":"<div><div>This study investigates volatility regime dynamics and risk quantification across the developed stock markets of the NYSE and SSEC, and the emerging markets of South Asia, using the Markov-Switching GARCH framework. By employing both Maximum-Likelihood Estimation (MLE) and Bayesian Markov Chain Monte Carlo (MCMC) methods, the study captured volatility clustering that depends on regimes, their persistence, and transition probabilities. The findings of the MLE have revealed significant regime shifts in the markets of South Asia and have displayed frequent transitions, high volatility clustering, especially during low-volatility regimes, and a higher level of instability than in developed equity markets. Moreover, the MCMC findings further substantiate these findings by providing robust parameter estimates and revealing stronger volatility persistence during the calm regime and greater volatility persistence during turbulent periods in the developing South Asian stock markets.</div><div>Then, volatility forecasting shows sustained market uncertainty, with emerging South Asian stock markets exhibiting higher volatility than developed markets. Moreover, the findings on Value-at-Risk (VaR) and Expected Shortfall (ES) have confirmed the elevated tail risk in the developing South Asian market, especially in Nepal and the Dhaka Stock Exchange. These findings contribute to the literature by providing an empirical comparison of risk and volatility across developed and developing markets, validating the efficiency of regime-switching models when combined with Bayesian estimation techniques for capturing the complex behaviour of financial markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102576"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145884265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Dynamic distortions of the security market line: Evidence from asymmetric volatility and regime-switching models 证券市场线的动态扭曲：来自不对称波动和制度转换模型的证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-14 DOI: 10.1016/j.najef.2025.102566

Hatem Brik

{"title":"Dynamic distortions of the security market line: Evidence from asymmetric volatility and regime-switching models","authors":"Hatem Brik","doi":"10.1016/j.najef.2025.102566","DOIUrl":"10.1016/j.najef.2025.102566","url":null,"abstract":"<div><div>This study re-examines the empirical validity of the Capital Asset Pricing Model (CAPM) by asking whether the Security Market Line (SML) remains stable when markets experience asymmetric volatility and regime transitions. Using high-frequency data from 2015 to 2024 for four major U.S. large-cap firms, we implement a unified empirical framework that integrates quantile regression, rolling-window CAPM estimation, and a two-state Markov-Switching AR(1) model.</div><div>The results reveal that the beta–return relationship is non-linear, time-varying, and state-dependent. Beta significance concentrates around the median of the return distribution but vanishes in the tails, confirming distributional asymmetry. Rolling estimations indicate persistent yet gradual beta drift, while the Markov-Switching model uncovers regime-contingent SML slopes—positive in stable phases and inverted during stress periods. These findings demonstrate that systematic risk is not uniformly priced and that the classical CAPM’s assumptions of linearity, stationarity, and rational expectations fail under dynamic market conditions.</div><div>Beyond U.S. equities, the framework offers a diagnostic tool for risk monitoring and portfolio management in environments characterized by volatility shocks and behavioral frictions—conditions typical of many emerging markets. By integrating dynamic, distributional, and regime dimensions, the paper contributes to a more adaptive understanding of asset pricing under uncertainty.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102566"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145791026","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis 清洁能源风险溢出效应与经济政策不确定性对股票市场稳定性的影响：依赖动态分析

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-05-24 DOI: 10.1016/j.najef.2025.102475

Ching-Chi Hsu , Wei-Che Tsai

{"title":"Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis","authors":"Ching-Chi Hsu , Wei-Che Tsai","doi":"10.1016/j.najef.2025.102475","DOIUrl":"10.1016/j.najef.2025.102475","url":null,"abstract":"<div><div>This study investigates the spillover effects of clean energy risks and economic policy uncertainty on the stability of the equity market. We use dependence dynamics through copulas with regime switching to analyze the dependence pattern of the spillover effects and the stability of the equity market. The dependence dynamics model results reveal the existence of asymmetric dependence between these factors, with the impact of the spillover effect on the stability of the equity market being more pronounced in the high-dependence regime. To test our findings, we formulate an investment strategy to facilitate an investigation of investment efficiency and profitability. Our performance test results confirm that our investment strategy outperforms, producing a high ratio of investment efficiency. Our research indicates that an unstable economic policy environment can increase clean energy risks, ultimately having spillover effects on the stability of the equity market. Our study provides references for policy regulators to design or adjust their energy policies and a guide for investors to make strategic investment decisions to avoid clean energy risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102475"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178756","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The role of international and domestic investors in international market information spillover effects: Evidence from interconnected multilayer networks 国际和国内投资者在国际市场信息溢出效应中的作用：来自互联多层网络的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-05-17 DOI: 10.1016/j.najef.2025.102465

Songsong Li , Hao Xu , Piet Sercu , Nan Xu , Yiwa Xu

{"title":"The role of international and domestic investors in international market information spillover effects: Evidence from interconnected multilayer networks","authors":"Songsong Li , Hao Xu , Piet Sercu , Nan Xu , Yiwa Xu","doi":"10.1016/j.najef.2025.102465","DOIUrl":"10.1016/j.najef.2025.102465","url":null,"abstract":"<div><div>This research introduces a novel framework to explore international information spillovers in stock markets like China, focusing on three layers: international capital markets, investor behavior, and domestic sector indices. Intra-layer connections are analyzed using TVP-VAR optimized frequency connectivity, while inter-layer connections are examined through causality tests, as well as a complex network approach evaluates the significance of investor groups. Our findings reveal that international investors’ selling behavior significantly impacts both domestic and foreign investors in the Chinese market, influenced by domestic stock sentiment. Notable peaks in network dynamics occurred in 2016, 2018, and 2020. The US and UK are major information spillover exporters, affecting sectors like industrials and materials in domestic markets. International market volatility increases short-term domestic investor attention and long-term asset shifts, leading to information spillovers in Chinese stocks. During events like the Sino-US trade war and COVID-19, international capital flows serve as a crucial channel between markets, with short-term impacts being more severe.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102465"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144261996","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Risky finance, riskier climate: when financial instability meets climate risks on the bridge of sustainability uncertainty 风险金融，风险气候：当金融不稳定在可持续性不确定性的桥梁上遇到气候风险

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-06-18 DOI: 10.1016/j.najef.2025.102492

Brahim Gaies

{"title":"Risky finance, riskier climate: when financial instability meets climate risks on the bridge of sustainability uncertainty","authors":"Brahim Gaies","doi":"10.1016/j.najef.2025.102492","DOIUrl":"10.1016/j.najef.2025.102492","url":null,"abstract":"<div><div>This study bridges two critical literatures: climate-related finance theory, which focuses on the destabilizing effects of climate risks on financial markets, and corporate social responsibility (CSR) theory, rooted in the shareholder-stakeholder debate. In doing so, it provides one of the first attempts to explore the systemic interactions between financial instability, sustainability uncertainty, and climate risks. Leveraging the novel U.S. ESG-based Sustainability Uncertainty Index (ESGUI; Ongan et al., 2025) and employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) connectedness framework, we analyze how shocks stemming from financial market stress, ESG investment and policy uncertainty, and climate-related risks propagate and interact across major financial, political, and environmental events in the U.S. economy from 2003 to 2024. The main findings reveal that credit market stress and volatility-driven financial uncertainty act as the major transmitters of instability in the system, with connectedness peaking during 2008–2009 and 2020–2022. However, the transmission of financial instability to climate risks is nonlinear and contingent on sustainability uncertainty. Interestingly, regulatory responses, such as post-Global Financial Crisis reforms and the Paris Agreement, help temporarily mitigate but fail to fully eliminate risk spillovers. These results are robust to the application of the time-varying robust Granger causality test, which serves as an alternative validation approach.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102492"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144364736","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

An analytical approximation for European options under a Heston-type model with regime switching 带制度切换的heston型模型下欧式期权的解析逼近

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-07-22 DOI: 10.1016/j.najef.2025.102500

Wenting Chen , Xin-Jiang He

引用次数: 0

Heterogeneous beliefs with information processing constraints and asset pricing in presence of non-tradable goods 具有信息处理约束和非贸易商品资产定价的异质信念

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-08-12 DOI: 10.1016/j.najef.2025.102520

Hailong Wang , Duni Hu

引用次数: 0

Corporate investment amid trade policy uncertainty: Past lessons, future presidency 贸易政策不确定性下的企业投资：过去的教训，未来的总统

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-08-11 DOI: 10.1016/j.najef.2025.102514

Vaibhav Keshav

引用次数: 0

Can we put green bonds in a single basket? 我们能把绿色债券放在一个篮子里吗？

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-08-07 DOI: 10.1016/j.najef.2025.102518

Mobeen Ur Rehman , Neeraj Nautiyal , Rami Zeitun , Xuan Vinh Vo , Mamdouh Abdulaziz Saleh Al-Faryan

引用次数: 0

Portfolio diversification amid economic uncertainty in Pakistan: empirical evidence from the quantile-on-quantile approach 巴基斯坦经济不确定性下的投资组合多元化：来自分位数对分位数方法的经验证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-06-07 DOI: 10.1016/j.najef.2025.102486

Hassan Zada , Naveed Khan , Mobeen Ur Rehman , Xuan Vinh Vo , Wafa Ghardallou

{"title":"Portfolio diversification amid economic uncertainty in Pakistan: empirical evidence from the quantile-on-quantile approach","authors":"Hassan Zada , Naveed Khan , Mobeen Ur Rehman , Xuan Vinh Vo , Wafa Ghardallou","doi":"10.1016/j.najef.2025.102486","DOIUrl":"10.1016/j.najef.2025.102486","url":null,"abstract":"<div><div>Over the past few decades, Economic Policy Uncertainty (EPU) has become a key driver of financial market dynamics, which influences investment decisions, risk perceptions, and overall economic stability. Therefore, our objective is to examine the impact of EPU on sectoral stocks in Pakistan. For the empirical analysis, we take monthly data from August 2010 to December 2023, and employ quantile-on-quantile regression approach (QQR) for the empirical analysis. This approach captures nonlinear and asymmetric relationships across different market conditions, thus making it ideal to analyze sectoral heterogeneity in response to changes in EPU. Our results highlight the negative effect of EPU on the returns in the Automobile & Assembler, Oil and Gas, and Refinery sectors at higher quantiles, whereas Banking and Power & Distribution sectors across all quantiles. However, in the Cement, Insurance, and Technology & Communication sectors, EPU positively affects returns at lower quantiles, whereas it negatively affects returns across higher quantiles. Policymakers should prioritize enhancing transparency and maintaining consistency in economic policies to minimize market disruptions caused by uncertainty. For portfolio managers, understanding the asymmetric impact of EPU can facilitate more effective risk management and asset allocation strategies, thus providing better diversification and hedging opportunities against uncertainty.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102486"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144261444","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0